An Eclectic Approach to Estimating U.S. Potential GDP

Rennison (Comparing alternative output gap estimations: a Monte Carlo approach, 2003) has provided simulation-based evidence showing that the joint use of extended multivariate filters and structural vector autoregression models is optimal for estimating potential output. We use this approach to estimate the two components of potential GDP: the full-employment labour input and trend labour productivity. This decomposition is useful for identifying sources of fluctuations in potential output. It reveals, for example, that the vigorous growth rate of U.S. potential GDP recorded during the second half of the 1990s is attributable to a fall in the structural rate of unemployment and a marked upswing in trend productivity growth.     

The stop-loss start-gain paradox and option valuation: a new decomposition into intrinsic and time value

The downside risk in a leveraged stock position can be eliminatedby using stop-loss orders. The upside potential of such a positioncan be captured using contingent buy orders. The terminal payoffto this stop-loss start-gain strategy is identical to that ofa call option, but the strategy costs less initially. This articleresolves this paradox by showing that the strategy is not self-financingfor continuous stock-price processes of unbounded variation.The resolution of the paradox leads to a new decomposition ofan option's price into its intrinsic and time value. When thestock price follows geometric Brownian motion, this decompositionis proven to be mathematically equivalent to the Black-Scholes(1973) formula.     

The effect of information releases on the pricing and timing of equity issues

With time-varying adverse selection in the market for new equityissues, firms will prefer to issue equity when the market ismost informed about the quality of the firm. This implies thatequity issues tend to follow credible information releases.In addition, if the asymmetric in information increases overtime between information releases, the price drop at the announcementof an equity issue should increase in the time since the lastinformation release. Using earning releases as a proxy for informativeevents, we find evidence supporting these propositions.     

收购旧设备及更新计划

<正> 南方公司是美国东南部5间受控管制公用电之控股公司,并为美国最大之电力生产商。南方电力是南方公司其中一间附属公司,在世界各地从事电力发展业务。其子公司亚洲电力发展有限公司发展项目遍布中国、菲律宾及亚洲其他地区。南电收购State Line发电设备的项目是更新旧电厂以提高效率、减低烟气排放及延长机组寿命的好例子。     

传统的会计方法会抑制技术革新吗?(下篇)

财务指标在决定一个项目是否应该上马时是十分重要的。但企业需要使用一系列会计和非会计方法来决定如何推进项目。     

An empirical investigation of international asset pricing

We investigate several asset pricing models in an internationalsetting. We use data on a large number of assets traded in theUnited States, Japan, the United Kingdom, and France. The modeltogether with the hypothesis of capital market integration implytestable restrictions on multivariate regressions relating assetreturns to various benchmark portfolios. We find that multifactormodels tend to outperform single-index models in both domesticand international forms especially in their ability to explainseasonality in asset returns. We also find that the behaviorof the models is affected by change in the regulatory environmentin international markets.     

Preferences, continuity, and the arbitrage pricing theory

This article investigates the structure on preferences requiredto derive Ross's arbitrage pricing theory (APT). It is shownthat only ordinal preferences are required. In particular, theAPT does not require that agents possess preferences representableas risk-averse expected utility functions. This characteristicof the APT is not shared by the standard equilibrium-based capitalasset pricing models.     

The Collapse of a European Bank in the Financial Crisis: An Analysis from Stakeholder and Ethical Perspectives

Fortis, the leading Benelux financial group, had been a success story of successive mergers of bank and insurance companies, with leadership in corporate social responsibility (CSR). One year after the acquisition of the major Dutch financial conglomerate ABN AMRO, the global financial crisis caused the collapse of the Fortis group. The purpose of this article is to use the case study of Fortis’s recent fall as a basis for reflective considerations on the financial crisis, from stakeholder and ethical perspectives. A selected number of key events of the history of the dramatic crisis at Fortis will be analysed from different ethical frameworks. Special consideration will be given to fairness of communication, shareholder activism and conflicts of interests of CEO’s mergers opportunities. A confrontation between the CSR policy and the reality raises the fundamental questions why the powerful CSR guidelines and ethical principles did not help in the assessment of the risks.